Search found 4 matches

by temp
Mon Jul 09, 2007 1:06 pm
Forum: Testing and Simulation
Topic: Some Thoughts on Variance of True Range
Replies: 4
Views: 4964

Sluggo,

I have added Kase's book to my reading list, thanks for the reco.
by temp
Thu Jul 05, 2007 1:32 pm
Forum: Testing and Simulation
Topic: Some Thoughts on Variance of True Range
Replies: 4
Views: 4964

Some Thoughts on Variance of True Range

I have been noodling around with volatility channel trading ideas for a while. I like the concept because it is, to a degree, self-tuning - as volatility increases so do the price channels, giving price more "room" to counter-trend without exiting prematurely. One of the difficulties I enc...
by temp
Tue May 22, 2007 8:09 pm
Forum: Testing and Simulation
Topic: Trading System Efficiency
Replies: 4
Views: 4926

Sluggo, Thanks for the link to that thread. It is interesting (to me at least) that GenX' question is along the lines of my broader thinking. When testing a system against a portfolio of instruments there will be significant differences in the returns for each instrument. In some cases the instrumen...
by temp
Sat May 19, 2007 8:16 pm
Forum: Testing and Simulation
Topic: Trading System Efficiency
Replies: 4
Views: 4926

Trading System Efficiency

In order for any trading system to yield a return, there has to be movement in the asset prices themselves; the movement provides the opportunity to profit. I was thinking that a statistical measure of a trading system's ability to turn those movements into returns might be a good parameter for judg...